Optimal reinsurance-investment with loss aversion under rough Heston model (Q6101023)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 7698363
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal reinsurance-investment with loss aversion under rough Heston model |
scientific article; zbMATH DE number 7698363 |
Statements
Optimal reinsurance-investment with loss aversion under rough Heston model (English)
0 references
20 June 2023
0 references
reinsurance-investment strategies
0 references
rough Heston model
0 references
approximate solutions
0 references
dual control
0 references
Monte Carlo methods
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8626506328582764
0 references
0.8470895290374756
0 references
0.8376584649085999
0 references
0.837168276309967
0 references
